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Construction and interpretation of model-free implied volatility
Andersen, Torben; Bondarenko, Oleg - 2007
Persistent link: https://www.econbiz.de/10003556632
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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
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Option panels in pure-jump settings
Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - 2018
Persistent link: https://www.econbiz.de/10011797494
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10009524097
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A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2013
Persistent link: https://www.econbiz.de/10009735127
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Parametric inference and dynamic state recovery from option panels
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2012
Persistent link: https://www.econbiz.de/10010202343
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10001846702
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The distribution of stock return volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001476423
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Short-term market risks implied by weekly options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - 2018
Persistent link: https://www.econbiz.de/10011797670